Medidas de desempenho para fundos de investimentos: uma aplicação em fundos de pensão do estado do Ceará

Abstract

Pension funds should manage the savings of participants and pay pension benefits as provided by regulation. A pension plan is exposed to a higher degree of uncertainty. Since not all events can be controlled, some, especially those with negative character can be managed and, if appropriate, prevented. Develop and implement forms of risk management is paramount for one who manages such a plan. The objective of this paper is to present some methodologies for risk management of investments performing an application of performance measures for investment funds in three pension funds in the State of Ceará: CABEC, CAGEPREV and FAELCE. For the methodology, were applied indices Sharpe, Treynor and Jensen, that evaluate the investment in relation to risk and portfolio return. The results were evaluated according to the investment policy of each institution and the analysis it was found that they reflect the conservative politics of application of resources of these entities. The FAELCE and CAGEPREV obtained positive results for the performance indices used, ensuring efficiency in remuneration for risk. The CABEC obtained negative indicators, showing that the return of the institution has not overcome the return of the risk free rate.